Credit Exposure Model Validation Director recruitment
Dynamic Global Investment Bank
Front Office Credit Exposures, Methods CVA
RESONSIBILITIES:
- Credit exposure model development CVA
- Validation of Front Office CVA FVA model
- Fair value of corporate loan book
- Support to clients (e.g. Front Office, Credit risk) including bespoke PFE calculations for complex transactions
- Development in-house model library (Monte-Carlo simulation and pricing models) in conjunction with Model validation
- Develop strong relationships with the businesses
- Team leadership
SKILLS EXPERIENCE:
- Quantitative or Finance MSc, PhD, (CFA, FRM or MBA an advantage)
- Knowledge of a wide range of PFE/EPE for wholesale products and CVA models
- Good mathematician with minimum 5 years development or validation of analytical credit risk measurement tools
- Understanding Regulatory Capital Incremental Risk Charge (IRC)
- Practical experience of credit risk exposure modelling
- Good understanding of traded instruments
- High degree of familiarity of industry practice with counterparty credit risk measurement and management.
- Strong programming skills, in particular C++ and VBA
- A minimum of 5 years and ideally 7 years of Finance/Banking experience including building complex derivatives pricing models and/or counterparty exposure measurement
May 2, 2012
• Tags: Credit Exposure Model Validation Director recruitment, Risk Management careers in the UK • Posted in: Financial